Some approaches to missing data work well in some situations, but perform very poorly in others. So it’s really important to get a good idea of the type and pattern of missingness in your data. You may even take different missing data approaches to different variables.
Matt Blackwell of the Harvard Social Science Statistics blog has come up with a nice way to visualize the missingness patterns in a data set. (I’m a big fan of graphing data to understand it). He calls it a Missingness Map.
The only drawback seems to be that it will be cumbersome for large data sets.